Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.1095 |
| Annualized Std Dev | 0.2205 |
| Annualized Sharpe (Rf=0%) | 0.4964 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3767.0000 |
| NAs | 1.0000 |
| Minimum | -0.1309 |
| Quartile 1 | -0.0050 |
| Median | 0.0008 |
| Arithmetic Mean | 0.0005 |
| Geometric Mean | 0.0004 |
| Quartile 3 | 0.0070 |
| Maximum | 0.1224 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0001 |
| UCL Mean (0.95) | 0.0010 |
| Variance | 0.0002 |
| Stdev | 0.0139 |
| Skewness | -0.2255 |
| Kurtosis | 10.3228 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0101 |
| Gain Deviation | 0.0098 |
| Loss Deviation | 0.0113 |
| Downside Deviation (MAR=210%) | 0.0145 |
| Downside Deviation (Rf=0%) | 0.0099 |
| Downside Deviation (0%) | 0.0099 |
| Maximum Drawdown | 0.5368 |
| Historical VaR (95%) | -0.0215 |
| Historical ES (95%) | -0.0344 |
| Modified VaR (95%) | -0.0203 |
| Modified ES (95%) | -0.0330 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-10-11 | 2009-03-09 | 2010-10-25 | -0.5368 | 762 | 350 | 412 |
| 2020-02-20 | 2020-03-23 | 2020-07-20 | -0.3678 | 105 | 23 | 82 |
| 2018-08-30 | 2018-12-24 | 2019-07-03 | -0.2323 | 211 | 80 | 131 |
| 2011-07-08 | 2011-10-03 | 2012-03-26 | -0.2256 | 181 | 61 | 120 |
| 2015-03-23 | 2016-02-08 | 2016-08-15 | -0.1976 | 354 | 223 | 131 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | 0.3 | -0.4 | 1.8 | 2.6 | -0.9 | 0.4 | -0.1 | -0.9 | -1 | -0.6 | 1.1 |
| 2007 | 0.6 | -0.4 | 0.4 | -0.3 | 0.1 | 0 | 0.6 | 1.2 | 1.2 | -1.8 | 0.6 | -0.3 | 1.9 |
| 2008 | 2.1 | -3.2 | 3.1 | 1 | 0.4 | 0.1 | -1.1 | -1.1 | -3.5 | 1.6 | -4.4 | 3.6 | -1.8 |
| 2009 | -2.7 | -1.4 | 0.3 | 0.7 | 5.2 | 0.2 | -0.4 | -2.2 | -2.6 | -3.2 | 1.6 | -1 | -5.8 |
| 2010 | 2.2 | 2 | 1.1 | -2.5 | -2.9 | 0.3 | 0.3 | 3.8 | 0.3 | 0 | 2.2 | -0.5 | 6.1 |
| 2011 | 1.5 | -1.7 | 0.6 | 0.2 | -2.1 | 1.9 | -0.7 | -1.2 | -3.2 | -2.5 | 0.3 | -0.4 | -7.2 |
| 2012 | 0.9 | 0.7 | 0.3 | 0.4 | -2.7 | 2.7 | -0.6 | 0.5 | 0.2 | 1.4 | 0.1 | 1.9 | 5.8 |
| 2013 | 1 | 0.8 | -0.9 | -0.7 | -1.3 | 1 | 1.7 | -0.4 | 0.9 | 0.2 | 0 | 0.4 | 2.7 |
| 2014 | -0.6 | -0.1 | 1.6 | 0.2 | 0 | 1.2 | -0.3 | 0.3 | -1.8 | 1.6 | -1.4 | -0.8 | -0.1 |
| 2015 | -1.5 | -0.1 | -0.6 | 1.6 | 0.5 | 0.6 | 0.1 | -2.7 | 0.6 | 0 | 1.2 | -1 | -1.4 |
| 2016 | 0.5 | 3 | 1 | -0.7 | 0 | 0.1 | 0 | 0.2 | 0.5 | -0.9 | -1.6 | -0.5 | 1.4 |
| 2017 | 0 | 1.2 | 0 | 0.4 | 0.8 | 0.1 | 0.1 | 0.2 | 0.7 | -0.3 | -0.8 | -0.7 | 1.5 |
| 2018 | -0.1 | -1.5 | 1.9 | 0.9 | 1.5 | 0.5 | -0.1 | 0.2 | 0 | 1.9 | 0.6 | 1.1 | 7 |
| 2019 | 0.3 | 0.8 | 1.1 | -1.2 | -1.1 | 0.8 | -0.6 | -0.8 | -1.2 | 0.8 | -0.4 | 0.1 | -1.3 |
| 2020 | -2.2 | -0.1 | -4.8 | -3.1 | 0.7 | 0.4 | 0.5 | 1.3 | 1.1 | -1.5 | 1.2 | 0.5 | -6 |
| 2021 | 2.6 | 2.9 | 0.9 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 6.6 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2006-03-07 33.9 SPY 128. -0.0016 -0.002 0.0135 0.0088 0.0422 0.546 0.0324 GLD 55.0 -0.0051 -0.02
2 2006-03-09 34.0 SPY 127. -0.0067 -0.0153 0.0151 0.0044 0.053 0.566 0.0305 GLD 54.2 0.005 -0.0441
3 2006-03-13 34.1 SPY 129. 0.0019 0.0051 0.0191 0.0225 0.0701 0.589 0.0218 GLD 54.3 0.0089 -0.0167
4 2006-03-14 34.3 SPY 130. 0.0105 0.0173 0.028 0.0305 0.0746 0.552 0.0252 GLD 54.9 0.0103 -0.0015
5 2006-03-15 34.6 SPY 131. 0.0045 0.0197 0.0344 0.0341 0.0884 0.554 0.0286 GLD 55.1 0.0046 0.0213
6 2006-03-16 34.7 SPY 131. 0.0021 0.0287 0.0257 0.0292 0.1 0.510 0.0622 GLD 55.3 0.004 0.0203
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
